Equity Quant Analyst – VP recruitment
Model Validation sits closely with the business working directly with the Traders and Front office quant teams. The successful candidate will be working with the Global Head of Equity Model Validation, and will provide a pivotal role supporting the Equities Business. You will be required to work on a variety of projects both long-term model validation projects and short term fast-track approvals, and will also provide input where appropriate to the Front Office Quants on model construction.
Responsibilities of EQ Model Validation Analyst role:
Candidate will be analysing and benchmarking some of the most complex and exotic models, to detect, identify, and quantify risks in the area of marking-to-market and risk management of model intensive products.
Perform product approval / certification of products and single trades. This involves among others:
- Reviewing new products.
- Detecting misunderstood and/or understated risks.
- Identifying mis-specified models, i.e. mathematically correct models which are not applicable to the given product and/or market.
- Highlighting the potential of use of wrong or inconsistent input values for model parameters, which are not readily quoted in the market (e.g., skew, correlation, etc.).
- Identifying unnoticed market changes (e.g., new traded products) which affect current valuation/risk management methods.
- Identifying the use of mathematically flawed models, quantifying errors, and proposing more adequate solution.
- Stress testing current models and identifying any potential risks that might affect the trading products.
- Managing all risk scenarios by planning solutions in advance.
- Supporting and assisting all senior traders, working closely with them on a day-to-day basis.
Requirements of EQ Model Validation Analyst role:
- PhD Mathematics/Physics or other related subject.
- Solid experience with Equity products
- General Programming skills needed e.g. C++, C#, Java etc.
- Strong knowledge of using VBA and Excel (which is heavily used).
- Strong analytical skills.
- Excellent level of Financial Mathematics i.e. stochastic calculus, PDE modelling, binomial trees, etc.